Topher is correct that with the higher altitude your engine loses power. But there are lots of things that can and/or will affect your MPG at altitude.
Basically your ECU detects less air volume (oxygen) and reduces the amount of fuel being mixed = less fuel being consumed.
There is less air resistance than sea level. Hard to say how much this really affects our beloved Jeeps since it is basically a lego design for aerodynamics, but the fact remains air pressure is less and it does have sway.
Yeah there are a bunch of "hills" you go up, but what goes up must come down..and when you are coming down you don't tend to ride your accelerator, so less fuel being demanded.
Course once you hit all the great trails out here suspect your MPG will drop